Even if you have admin privileges, sometimes things won't run unless you use the "run as administrator" trick:

http://www.sevenforums.com/tutorials/11841-run-administrator.html

The reason you get a different error when Arduino is not plugged in, is because the serial port is only there when the Arduino board is plugged into the PC's USB port. So as soon as you unplug the Arduino board Window can not see the port.